At least three people have died in a suicide blast in the Nigerian city of Maiduguri, a day after the U.S. Embassy urged Americans to leave the city due to ongoing violence. Police say the explosion went off outside their headquarters Friday. A policeman was among those killed and at least five people were wounded. On Thursday, the U.S. Embassy in Nigeria warned of ongoing violence between government forces and “local extremists” in Maiduguri. The embassy said it believes the situation will continue to deteriorate. No group has claimed responsibility for Friday's blast. The militant Islamist group known as Boko Haram has carried out similar attacks in the past. Maiduguri is the home city of Boko Haram, which has been blamed for hundreds of killings in Nigeria. The group has said it wants to establish an Islamic state in northern Nigeria and does not recognize Nigeria's government or constitution. The country of 150 million is about evenly divided between Muslims, who mostly live in the north, and Christians who dominate in the south.